共查询到20条相似文献,搜索用时 31 毫秒
1.
D.G. Hobson 《Decisions in Economics and Finance》2005,28(1):33-52
Abstract
We consider a special class of financial models with both traded and non-traded assets and show that the utility indifference
(bid) price of a contingent claim on a non-traded asset is bounded above by the expectation under the minimal martingale measure.
This bound also represents the marginal bid price for the claim.
The key conclusion is that the bound and the marginal bid price are independent of both the utility function and initial wealth
of the agent. Thus all utility maximising agents charge the same marginal price for the claim. This conclusion is in some
sense the opposite conclusion to that of Hubalek and Schachermayer (2001), who show that any price is consistent with some
equivalent martingale measure.
Mathematics Subject Classification (2000): 91B28, 91B16, 60J70
Journal of Economic Literature Classification: G13 相似文献
2.
In a discrete-time incomplete financial market with proportional transaction costs and with independent and bounded returns, we prove the existence of a consistent price system that can be written as the expectation of the discounted claim under the real-world probability measure P and not just under a martingale measure. In fact, the claim is then discounted by some specific dynamic portfolio called the numeraire portfolio as in the classical case of markets without transaction costs. For that specific numeraire, P will be a martingale measure. Naturally, the concept of a numeraire portfolio has here to be adapted to the concept of consistent price systems for markets with transaction costs. Moreover, again as in the classical case, the numeraire portfolio can be chosen as log-optimal portfolio. The same analysis works for power utility functions. However, then a change of measure is necessary. This paper applies methods from stochastic dynamic programming to finance. 相似文献
3.
Heinz Weisshaupt 《Decisions in Economics and Finance》2003,26(2):81-96
We would like to insure against the risk that a geometric Brownian motion, correlated with the price process of a certain
traded asset, is in a set E at time T. In this paper it is shown that the best action one can take to insure against this risk is to buy a binary option on the
traded asset. We give explicit formulas in the case that E is an infinite interval. The setting of all our investigations is the Black-Scholes model.
Mathematics Subject Classification (2000): 91B28, 60J65, 62P05, 91B30, 62F03
Journal of Economic Literature Classification: G31 相似文献
4.
The link between martingales and arbitrage is well-known in financial theory: arbitrage is not available if and only if there
exists an equivalent measure such that the discounted prices are martingales with respect to this measure (MME). As a consequence,
under MME, any previsible (non-anticipative) strategy cannot have secure (without risk) profit. Moreover, a careful reading
of a bootstrap proof of the first fundamental theorem of asset pricing (see Schachermeier (1992)) underlines the fact that,
if there is no possibility of arbitrage during any unit interval, then no arbitrage is allowed with any finite temporal horizon
strategy.
Mathematics Subject Classification (2000): Primary: 60G48; Secondary: 60G40, 60G07
Journal of Economic Literature Classification: C50, C72, D84 相似文献
5.
Abdelkrim Seghir 《Decisions in Economics and Finance》2006,28(2):95-112
Abstract
This paper shows that, even with a life-cycle component, the standard model of competitive consumption and asset trading can
be extended to encompass general preference relations, which do not necessarily hinge upon special assumptions such as time
or state separability, or even completeness or transitivity. More precisely, this paper addresses the equilibrium existence
for an overlapping generations pure-exchange economy with non-ordered preferences and incomplete financial markets of numeraire
assets.
Mathematics Subject Classification (2000): 91B50, 91B62
Journal of Economic Literature Classification: D52, D91 相似文献
6.
Representing complete and incomplete subjective linear preferences on random numbers 总被引:1,自引:0,他引:1
We show that preferences on random numbers which satisfy certain natural properties can be represented, in the setting of
topological vector spaces, by a suitable family of continuous previsions which is, in a sense, unique. Moreover, for most
commonly used spaces of random numbers, we establish that one can derive these preferences, via an expectation operator, from
a suitable family of probabilities (whether or not finitely additive).
Mathematics Subject Classification (2000): 06A06, 62C05, 91B06
Journal of Economic Literature Classification: D11, D81 相似文献
7.
Gino Favero 《Decisions in Economics and Finance》2005,28(1):1-8
Abstract
We consider the seller of a contingent claim who wants to hedge against the corresponding risk by means of a self-financing
strategy, endowing less initial capital than the one required for (super)hedging. Two classical criteria used in this situation
are shortfall risk minimisation and symmetric hedging (a natural generalisation of the quadratic hedging problem). We show
that these two problems are equivalent if the market is complete. The case when the market is incomplete is also discussed.
Mathematics Subject Classification (2000): 91B28, 91B70, 93E20
Journal of Economic Literature Classification: D81, G11 相似文献
8.
Abstract
We establish characterizations of Radner equilibrium allocations via private core notions in the framework of differential
information economies with a finite number of states of nature and a measure space of agents that may have atoms. The commodity
space is an ordered separable Banach space whose positive cone admits an interior point. We introduce the notion of Aubin private core and prove that it provides a characterization of Radner equilibrium allocations. We show that the Aubin private core is equivalent
to Edgeworth private equilibria and to privately non-dominated allocations of suitable associated economies.
Mathematics Subject Classification (2000): 91B50, 91B44
Journal of Economic Literature Classification: D51, D82, D11 相似文献
9.
Massimiliano Amarante 《Decisions in Economics and Finance》2004,27(1):81-85
Abstract
In Marinacci (2000), the following theorem was proved.
Theorem 1. (Marinacci (2000) Let P and Q be two finitely additive probabilities on a λ -system Σ . Suppose that P is convex-ranged and that Q is countably additive. If there exists an A
+ ∈ Σ with 0<P(A
+ )<1 such that
whenever B∈ Σ , then P=Q.
Mathematics Subject Classification (2000): 28A10, 91B06
Journal of Economic Literature Classification: C60, D81 相似文献
10.
Luciano Campi 《Decisions in Economics and Finance》2004,27(1):57-80
Abstract
In this paper, we focus on the following problem: given a financial market, modelled by a process
, and a family
of probability measures on
, with N a positive integer and
the time space, we search for financially meaningful conditions which are equivalent to the existence and uniqueness of an
equivalent (local) martingale measure (EMM) Q such that the price process S has under Q the pre-specified finite-dimensional distributions of order N (N-dds)
. We call these two equivalent properties, respectively, N
-mixed no free lunch and market
N
-completeness. They are based on a classification of contingent claims with respect to their path-dependence on S and on the related notion of N-mixed strategy.
Finally, we apply this approach to the Black-Scholes model with jumps, by showing a uniqueness result for its equivalent martingale
measures set.
Mathematics Subject Classification (2000): 60G48, 91B28
Journal of Economic Literature Classification: G12, D52 相似文献
11.
Martino Grasselli 《Decisions in Economics and Finance》2005,28(1):67-78
Abstract
In the financial literature, the problem of maximizing the expected utility of the terminal wealth has been investigated extensively
(for a survey, see, e.g., Karatzas and Shreve (1998), p. 153, and references therein) by using different approaches.
In this paper, we extend the existing literature in two directions. First, we let the utility function U(.) of the financial agent (who is a price taker) be implicitly defined through I(.)=(U
′ (.))–1, which is assumed to be additively separable, i.e., I(.)=∑
k=1
N
I
k
(.).
Second, we solve the investment problem in the general affine term structure model proposed by Duffie and Kan (1996) in which
the functions I
k
(.), k=1,...,N are associated to HARA utility functions (with possibly different risk aversion parameters), and we show that the utility
maximization problem leads to a Riccati ODE. Moreover, we extend to the multi-factor framework the stability result proved
in Grasselli (2003), namely, the almost-sure convergence of the solution with respect to the parameters of the utility function.
Mathematics Subject Classification (2000): 91B28
Journal of Economic Literature Classification: G11 相似文献
12.
Abstract The present paper combines loss attitudes and linear utility by providing an axiomatic analysis of corresponding preferences
in a cumulative prospect theory (CPT) framework. In a sense we derive a two-sided variant of Yaari’s dual theory, i.e., nonlinear
probability weights in the presence of linear utility. The first important difference is that utility may have a kink at the
status quo, which allows for the exhibition of loss aversion. Also, we may have different probability weighting functions
for gains than for losses. We apply the model to both portfolio selection and insurance demand. Our results show that CPT
with linear utility has more realistic implications than the dual theory since it implies only a weakened variant of plunging.
Mathematics Subject Classification (2000): 91B08, 91B28, 91B30
Journal of Economic Literature Classification: D81, G11, G22 相似文献
13.
Miklós Rásonyi 《Decisions in Economics and Finance》2004,27(2):109-123
Abstract
We consider a market with countably many risky assets and finite factor structure, as in the “arbitrage pricing theory” of
Ross (1976). We prove necessary and sufficient conditions in terms of parameters for the existence of an equivalent risk-neutral
measure, i.e., a measure under which each asset return has zero expected value. We relate these conditions to a certain absence
of arbitrage property of the model.
Mathematics Subject Classification (2000): 91B24, 91B28
Journal of Economic Literature Classification: G10, G12 相似文献
14.
Abstract
The expected-utility (EU) approach brings great richness to the study of decision making in a large variety of stochastic
environments. Research in the EU paradigm often starts from plausible assumptions on risk preferences or optimal responses
to changes in the risk structure, and then investigates how such assumptions are reflected by properties of the von-Neumann-Morgenstern
(vNM) utility functions underlying the EU concept. Building on Pratt’s (1964) analysis of risk aversion, several measures
for risk attitude have been analyzed, including absolute prudence and temperance (Kimball (1990), Eeckhoudt, Goiller and Schlesinger
(1996)), their relative and partial relative counterparts (Choi, Kim and Snow (2001), Honda (1985)) as well as extensions
such as mixed risk aversion (Caballé and Pomansky (1996)).
Mathematics Subject Classification (2000): 91B16, 91B06
Journal of Economic Literature Classification: D81, D82 相似文献
15.
Abstract In a recent critical review of de Finetti’s paper “Il problema dei pieni’’, the Nobel Prize winner Harry Markowitz recognized
the primacy of de Finetti in applying the mean-variance approach to finance, but pointed out that de Finetti did not solve
the problem for the general case of correlated risks. We argue in this paper that a more fair sentence would be: de Finetti
did solve the general problem but under an implicit hypothesis of regularity which is not always satisfied. Moreover, a natural
extension of de Finetti’s procedure to non-regular cases offers a general solution for the correlation case and shows that
de Finetti anticipated a modern mathematical programming approach to mean-variance problems.
Mathematics Subject Classification (2000): 91B30, 90C20
Journal of Economic Literature Classification: G11, C61, B23, D81, G22 相似文献
16.
Guglielmo D’Amico Jacques Janssen Raimondo Manca 《Decisions in Economics and Finance》2006,28(2):79-93
Abstract
The credit risk problem is one of the most important issues of modern financial mathematics. Fundamentally it consists in
computing the default probability of a company going into debt. The problem can be studied by means of Markov transition models.
The generalization of the transition models by means of homogeneous semi-Markov models is presented in this paper. The idea
is to consider the credit risk problem as a reliability problem. In a semi-Markov environment it is possible to consider transition
probabilities that change as a function of waiting time inside a state. The paper also shows how to apply semi-Markov reliability
models in a credit risk environment. In the last section an example of the model is provided.
Mathematics Subject Classification (2000): 60K15, 60K20, 90B25, 91B28
Journal of Economic Literature Classification: G21, G33 相似文献
17.
Jorge M. Arevalillo 《Metrika》2012,75(8):1009-1024
In this paper we study the relation between the r* saddlepoint approximation and the Edgeworth expansion when quite general assumptions for the statistic under consideration are fulfilled. We will show that the two term Edgeworth expansion approximates the r* formula up to an O(n ?3/2) remainder; this provides a new way of looking at the order of the error of the r* approximation. This finding will be used to inspect the close connection between the r* formula and the Edgeworth B adjustment introduced in Phillips (Biometrika 65:91–98, 1978). We will show that, whenever an Edgeworth expansion exists, this adjustment approximates both the distribution function of the statistic and the r* formula to the same order degree as the Edgeworth expansion. Some numerical examples for the sample mean and U-statistics are given in order to shed light on the theoretical discussion. 相似文献
18.
Anna Martellotti 《Decisions in Economics and Finance》2007,30(1):51-70
Abstract We prove a core-Walras equivalence result for a finitely additive confederate economy with commodity space L1(μ) and a measurable bounded map of extremely desirable commodities: when the map of extremely desirable commodities is simply
bounded the properness of preferences is no longer equivalent to the existence of just one extremely desirable commodity as
assumed in the countably additive model by Rustichini and Yannelis.
Mathematics Subject Classification: 91B50, 91B54; 28B20, 46A22,
28A25
Journal of Economic Literature Classification: D51; C02 相似文献
19.
Stelios D. Georgiou 《Metrika》2008,68(2):189-198
Supersaturated designs are an important class of factorial designs in which the number of factors is larger than the number
of runs. These designs supply an economical method to perform and analyze industrial experiments. In this paper, we consider
generalized Legendre pairs and their corresponding matrices to construct E(s
2)-optimal two-level supersaturated designs suitable for screening experiments. Also, we provide some general theorems which
supply several infinite families of E(s
2)-optimal two-level supersaturated designs of various sizes.
相似文献
20.
Paolo Scapparone 《Decisions in Economics and Finance》1999,22(1-2):5-11
In this paper we say that a preference (i.e. irreflexive) relationP isregular (or aweak order) if both it and its non-comparability relation are transitive; we also say that a preference relationP * is aconvex extension of another preference relationP ifP?P * holds andP * is regular and convex-valued. We prove that a convex extension ofP exists if and only if every non-empty and finite set of alternativesA is not included in the convex hull of ∪ x∈A P(x). 相似文献